Waiting times between orders and trades in double-auction markets

Enrico Scalas; Taisei Kaizoji; Michael Kirchler; Jürgen Huber; Alessandra Tedeschi

doi:10.1016/j.physa.2005.09.047

Waiting times between orders and trades in double-auction markets

Enrico Scalas
, Taisei Kaizoji
, Michael Kirchler
, Jürgen Huber
, Alessandra Tedeschi

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.

Original language	English
Pages (from-to)	463-471
Number of pages	9
Journal	Physica A: Statistical Mechanics and its Applications
Volume	366
DOIs	https://doi.org/10.1016/j.physa.2005.09.047
Publication status	Published - 1 Jul 2006
Externally published	Yes

Keywords

Duration
Intertrade duration
Orders
Survival function
Trades
Waiting-times

Access to Document

10.1016/j.physa.2005.09.047

Cite this

@article{6625da45d27e4616b2a16dde70ca7c7f,

title = "Waiting times between orders and trades in double-auction markets",

abstract = "In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.",

keywords = "Duration, Intertrade duration, Orders, Survival function, Trades, Waiting-times",

author = "Enrico Scalas and Taisei Kaizoji and Michael Kirchler and J{\"u}rgen Huber and Alessandra Tedeschi",

note = "Funding Information: This work was supported by the Italian M.I.U.R. F.I.S.R. Project “High frequency dynamics of financial markets”. Financial support from the Raiffeisen-Landesbank Tirol and the Center for Experimental Economics at the University of Innsbruck for the experiments is gratefully acknowledged. ",

year = "2006",

month = jul,

day = "1",

doi = "10.1016/j.physa.2005.09.047",

language = "English",

volume = "366",

pages = "463--471",

journal = "Physica A: Statistical Mechanics and its Applications",

issn = "0378-4371",

publisher = "Elsevier BV",

}

TY - JOUR

T1 - Waiting times between orders and trades in double-auction markets

AU - Scalas, Enrico

AU - Kaizoji, Taisei

AU - Kirchler, Michael

AU - Huber, Jürgen

AU - Tedeschi, Alessandra

N1 - Funding Information: This work was supported by the Italian M.I.U.R. F.I.S.R. Project “High frequency dynamics of financial markets”. Financial support from the Raiffeisen-Landesbank Tirol and the Center for Experimental Economics at the University of Innsbruck for the experiments is gratefully acknowledged.

PY - 2006/7/1

Y1 - 2006/7/1

N2 - In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.

AB - In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.

KW - Duration

KW - Intertrade duration

KW - Orders

KW - Survival function

KW - Trades

KW - Waiting-times

UR - https://www.scopus.com/pages/publications/33646190687

U2 - 10.1016/j.physa.2005.09.047

DO - 10.1016/j.physa.2005.09.047

M3 - Article

SN - 0378-4371

VL - 366

SP - 463

EP - 471

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

ER -

Waiting times between orders and trades in double-auction markets

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this